This scene takes place when Naami is first getting to know Spirit Jr. After he shows her around Lucky's town and his herd, the two decided to go for a long slow stroll and learning more things about each other. Spirit Jr. told her everything about his life, now he wants to know hers.
At first, Naami was hesitate and afraid to discuss her own personal business. She's not known to be very open about certain things. Especially after what had recently happened, her father losing his herd due to humans and Naami being captured by one. It was so terrifying to her and the fact that she will never be able to return to her family or herd again is depressing.
After hearing the sad story, Spirit Jr. feels so sorry for her and promised that if she ever needs anything, he will always guide and be there for her at every cost or need. That is when Naami began to start feeling a bit of romance and trust.
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Base: derp8675309 (C), DA.
Background: Blackhorsebeth (C), Animation source.
Naami: Me(C).
Spirit Jr.: Dreamworks (C).